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Relevant bibliographies by topics / Return of stocks

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Academic literature on the topic 'Return of stocks'

Author: Grafiati

Published: 28 May 2022

Last updated: 31 July 2025

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Journal articles on the topic "Return of stocks"

1

Agarwal, Mehul. "Does Investment in Defensive Stocks Act as a Buffer during Market Downturns?" INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem30553.

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The study examines the performance of defensive stocks during market downturns in the Indian stock market. The research focuses on the period from January 2000 to December 2023. In this study selected stocks from the Fast-Moving Consumer Goods (FMCG) sector (HUL, ITC, Britannia Industries) and Pharma sector (Sun Pharmaceuticals Industries, Dr Reddy Laboratories and Cipla) have been taken into consideration. Five key metrics are covered to assess the stock’s performance: Stock return, Correlation, Beta Compound Annual Growth Rate (CAGR), and Dividend yield. For stock return a comparison is made

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Eltahir, Yassin Ibrahim, Osama Azmi Sallam, Hussien Omer Osman, and Fethi Klabi. "Does Volatility Generate Major and Minor Stocks in Saudi Stocks Market?" Integrated Journal of Business and Economics 4, no. 1 (2020): 14. http://dx.doi.org/10.33019/ijbe.v4i1.239.

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This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of five stocks representing the basic materials, banking, services, food and transport sectors (SABIC, Al Rajhi, Etisalat, Almarai and Al Bahri respectively). The data sample for the period from 2011 to 2016 is taken, which represents the lifespan of the five-year plan. Daily stock returns were calculated during this period. Study applies the M GA

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Larasati, Btari Gavrilla, C. Ambar Pujiharjanto, and Nilmawati Nilmawati. "Analysis Of Stock Return Anomaly On The Indonesia Stock Exchange Based On Market Capitalization." Journal of Business Innovation and Research 2, no. 2 (2024): 195. http://dx.doi.org/10.31315/jubir.v2i2.12031.

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There has been a well-known market anomaly in the stock market called the firm size effect. This theory explains that small-cap stocks may provide greater stock returns than big-cap stocks. This research aimed to test the firm size effect theory on 827 stocks listed on the Indonesia Stock Exchange (IDX) during January 2 to June 27, 2023. The research sample was divided into big-cap and small-cap categories based on the calculation of average market capitalization, then the average value of stock returns from both categories were statistically compared. The result showed that the average values

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4

Putrie, Veronica Clasrissa, and Himda Anataya Nurdyah. "Stock Making Investment Decisions Using the Capital Asset Pricing Model (CAPM) Analysis of the Business Index-27 on the Indonesian Stock Exchange." International Journal of Mathematics, Statistics, and Computing 2, no. 3 (2024): 95–101. http://dx.doi.org/10.46336/ijmsc.v2i3.119.

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The purpose of this study is to measure the ability of the Capital Asset Princing Model (CPAM) in analyzing investment decision making by predicting the risk and return that will be obtained by investors and helping investors in choosing efficient and inefficient stocks. CAPM is a measuring tool that can be used to determine the level of risk and return obtained and evaluate the rate of return on investment. The purposive sampling technique is used in selecting samples to be used in the study, namely companies listed on the Indonesia Stock Exchange and their shares are consistently included in

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Vidović, Jelena. "Risk-return-volume causality on the Croatian stock market." Ekonomski vjesnik 37, no. 1 (2024): 79–92. http://dx.doi.org/10.51680/ev.37.1.6.

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Purpose: Causality between stock returns, volatility and traded volume for 10 most liquid stocks from Zagreb Stock Exchange (ZSE) is examined in this paper. Methodology: The paper relies on historical daily data regarding return, standard deviation and turnover for the period from 2015 to 2021. Vector Autoregressive Models (VARs) were estimated for each stock in-dividually. Based on estimated VAR models, Granger-causality tests were performed to estimate causality between trading volume, stock returns and volatility for most liquid stocks from the Croatian stock market. Results: Results strong

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Febi Amelia Putri, Nurman Nurman, Annisa Paramaswary Aslam, Anwar Ramli, and Anwar Anwar. "Penggunaan Capital Asset Pricing Model (CAPM) untuk Menilai Kelayakan Investasi pada Saham Indeks IDX30 di Bursa Efek Indonesia (BEI) Tahun 2019-2023." JURNAL MANAJEMEN DAN BISNIS EKONOMI 3, no. 2 (2025): 01–17. https://doi.org/10.54066/jmbe-itb.v3i2.3025.

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This study aims to assess the feasibility of investing in stocks included in the IDX30 index using the Capital Asset Pricing Model (CAPM). By analyzing 53 stocks from various industries categorized on the Indonesia Stock Exchange (IDX). through historical stock data for the period 2019 to 2023, this study evaluates individual return (Ri), systematic risk (beta/β), and expected return or E(Ri). The analysis results show that overall these stocks provide a positive return of 0.00658 which indicates that these stocks are profitable for investors. However, there were 19 stocks that experienced neg

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7

Zhang, Xiao-Jun. "Book-to-Market Ratio and Skewness of Stock Returns." Accounting Review 88, no. 6 (2013): 2213–40. http://dx.doi.org/10.2308/accr-50524.

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ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consisten

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8

Dai, Zhonglan, Douglas A. Shackelford, and Harold H. Zhang. "Capital Gains Taxes and Stock Return Volatility." Journal of the American Taxation Association 35, no. 2 (2013): 1–31. http://dx.doi.org/10.2308/atax-50509.

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ABSTRACT This paper presents an empirical investigation of the impact of capital gains taxes on stock return volatility. We predict that the more stock returns are subject to capital gains taxation, the greater the increase in return volatility following a capital gains tax rate cut due to reduced risk-sharing in firms' cash flows between shareholders and the government. Consistent with this prediction, we find larger increases in the return volatility for more appreciated stocks than for less appreciated stocks and for non-dividend-paying stocks than for dividend-paying stocks after both 1978

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9

Solekha, Yasmin Afnan, and Wahid Wachyu Adi Winarto. "Analisis Volatilitas Return Saham Terhadap Risiko Sistematis Dimasa Pandemik Covid-19 pada Saham LQ 45." Jurnal Akuntansi dan Audit Syariah (JAAiS) 1, no. 1 (2020): 77–87. http://dx.doi.org/10.28918/jaais.v1i1.3485.

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The Covid-19 pandemic has had a very big impact. All parts of the world are making efforts to prevent the spread of this virus, decisions to lockdown, quarantine areas, or PSBB. Which resulted in delays in the economy and financial markets. Domestic and foreign investors dispose of their funds in order to prevent risks. JCI recorded that in February the price index fell to a level of 3938. Stock prices that tend to be unstable will affect the volatility of returns (fluctuations in the level of returns that will be obtained by investors) and systematic risk (deviations from the outcome of their

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Urwah, Khaerun Nisa, Ida Farida, and Arief Zul Faozi. "Analisis Capital Asset Pricing Model (CAPM): Dasar Pengambilan Keputusan Investasi Saham pada Perusahaan Sektor Perbankan." Owner 8, no. 1 (2024): 333–44. http://dx.doi.org/10.33395/owner.v8i1.1850.

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Investing is one way to increase income. However, the reality is that not all investors can generate additional income and not all investors can manage their investments optimally. This problem arises because investors make several mistakes when investing. The purpose of this study is to classifiy between efficient stocks and inefficient stocks using the CAPM method, so that it can help investors in considering the right stock investment. The data collection techniques used are documentation and literature study. The data analysis technique used is descriptive quantitative. The results of this

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Dissertations / Theses on the topic "Return of stocks"

1

Zhang, Yuzhao. "Essays on return predictability and volatility estimation." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1666139151&sid=3&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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Wong, Po-shing. "Some mixture models for the joint distribution of stock's return and trading volume /." [Hong Kong] : University of Hong Kong, 1991. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13009485.

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Zhou, Peilan. "Essays on financial asset return volatility." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786781&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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Shan, Yaowen School of Banking &amp finance UNSW. "Analysts' forecasts and future stock return volatility: a firm-level analysis for NYSE Firms." Awarded by:University of New South Wales. School of Banking & finance, 2006. http://handle.unsw.edu.au/1959.4/26963.

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This study demonstrates that financial analysts significantly affect short-term stock prices, by examining how non-accounting information particularly contained in analysts' forecasts contributes to the fluctuation of future stock returns. If current non-accounting information of future earnings is more unfavourable or more volatile, we could observe a larger shift in the current stock return. The empirical evidence strongly supports these theoretical predictions that stem from the combination of the accounting version of Campbell-Shiller model (Campbell and Shiller (1988) and Vuolteenaho (200

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Shepherd, Shane. "Cash holdings, stock splits, and mergers examining risk and return in the equity markets /." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1779690161&sid=2&Fmt=2&clientId=1564&RQT=309&VName=PQD.

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Man, Kai-sze. "Stock market performance in Hong Kong : an empirical investigation /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19740773.

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Li, Jiandong Chiang Thomas C. "Three essays on modeling stock returns : empirical analysis of the residual distribution, risk-return relation, and stock-bond dynamic correlation /." Philadelphia, Pa. : Drexel University, 2007. http://hdl.handle.net/1860/1784.

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Wang, Qi (Carol). "New equity issues, share repurchases, and the predictability of aggregate stock returns an international perspective /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/5851.

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Thesis (Ph. D.)--University of Missouri-Columbia, 2006.<br>The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on April 29, 2009) Vita. Includes bibliographical references.

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Kot, Hung Wan. "Two essays in empirical finance /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?FINA%202004%20KOT.

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Voigt, Ivan. "Published share tips : do they out-perform the JSE?" Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/49704.

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Study project (MBA) -- University of Stellenbosch, 2001.<br>University of Stellenbosch Business School<br>ENGLISH ABSTRACT: This study considers share tips published in a respected publication, and determines whether an investment strategy based on the recommendations of its journalists could allow investors to exceed the stock market average. Six journalists were selected, and the recommendations that they made over a 30-month period grouped into “buy” and “do not buy” recommendations. The change in price of the recommended shares was measured after periods of one week, one month, three mont

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Books on the topic "Return of stocks"

1

Bekaert, Geert. International stock return comovements. National Bureau of Economic Research, 2005.

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Brewer, Elijah. Time aggregation, specification, and bank stock rates of return determination. College of Commerce and Business Administration,University of Illinois at Urbana-Champaign, 1986.

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Brewer, Elijah. Time aggregation, specification, and bank stock rates of return determination. College of Commerce and Business Administration,University of Illinois at Urbana-Champaign, 1986.

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Brewer, Elijah. Time aggregation, specification, and bank stock rates of return determination. College of Commerce and Business Administration,University of Illinois at Urbana-Champaign, 1986.

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Brewer, Elijah. Time aggregation, specification, and bank stock rates of return determination. College of Commerce and Business Administration,University of Illinois at Urbana-Champaign, 1986.

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Brewer, Elijah. Time aggregation, specification, and bank stock rates of return determination. College of Commerce and Business Administration,University of Illinois at Urbana-Champaign, 1986.

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7

Arumugam, S. Day of the week effects in stock returns: An empirical evidence from Indian Equity Markets. UTI Institute of Capital Markets, 1997.

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8

Laakkonen, Arto. Return, risk, and distribution statistics of common stocks. [University of Vaasa], 1988.

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Madhusoodanan, T. P. Risk and return: A new look at the Indian Stock Market. UTI Institute of Capital Markets, 1996.

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Chan, Louis K. C. The risk and return from factors. National Bureau of Economic Research, 1997.

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Book chapters on the topic "Return of stocks"

1

Shefrin, Hersh. "Risk, Return, and Individual Stocks." In Behavioral Risk Management. Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/9781137445629_15.

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2

Kusuma, Evelyn, Putu Anom Mahadwartha, and Endang Ernawati. "Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45." In Proceedings of the 19th International Symposium on Management (INSYMA 2022). Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-008-4_11.

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AbstractThis study forms an optimal portfolio using a single index model on LQ45 index stocks and compares its performance before and during the Covid-19 pandemic. Return, risk, Sharpe ratio, and Treynor ratio are compared between the period before and during the pandemic. The calculation of excess return to beta results obtains three stocks that make up the optimal portfolio (2016 to 2021), namely ANTM, BBCA, and INCO, with sequential proportions of 89.87%, 1.96%, and 8.17%. The different paired sample t-test results show differences in risk and Sharpe ratio performance in the portfolio befor

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3

Andriansyah and Isfenti Sadalia. "Investment Capital and Stock Return on Investment Interest in Millennial Generation in Indonesia." In Proceedings of the 19th International Symposium on Management (INSYMA 2022). Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-008-4_26.

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AbstractThis research aims to determine the effect of investment capital and stock returns on investment interest in the millennial generation in the capital market. This research is associative research with a quantitative descriptive approach. This research was conducted in the city of Medan with a sample of 96 people. The model used in this study was multiple linear regression. The results of this study indicate that investment capital affects investment interest. In addition, stock returns also affect investment interest. This study indicates that the more advanced the development of techn

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4

Reddy, V. Bheemeswara, and N. Harish. "Risk–Return Analysis of Selected Equity Stocks Listed in Bombay Stock Exchange Using Capital Asset Pricing Model." In Proceedings of the 3rd International Conference on Reinventing Business Practices, Start-ups and Sustainability (ICRBSS 2023). Atlantis Press International BV, 2024. http://dx.doi.org/10.2991/978-94-6463-374-0_33.

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Sung, Tien-Wen, Cian-Lin Tu, Pei-Wei Tsai, and Jui-Fang Chang. "Short-Term Forecasting on Technology Industry Stocks Return Indices by Swarm Intelligence and Time-Series Models." In Advances in Intelligent Information Hiding and Multimedia Signal Processing. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-63856-0_34.

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Joshi, Aditya, and S. Rohitraj. "Risk – Return Computation of and Computation of the Optimal Portfolio of the Chosen Metal Sector Stocks from NSE." In Advances in Economics, Business and Management Research. Atlantis Press International BV, 2025. https://doi.org/10.2991/978-94-6463-766-3_17.

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Jensen, Jesper Lyng, and Susanne Sublett. "Stock Taking." In Redefining Risk & Return. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41369-3_9.

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Krinitz, Jonas, and Dirk Neumann. "Decision Analytics for Initial Public Offerings: How Filing Sentiment Influences Stock Market Returns." In Market Engineering. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-66661-3_3.

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AbstractCompanies issuing stocks through an initial public offering (IPO) are obligated to publish relevant information as part of a prospectus. Besides quantitative figures from accounting, this document also contains qualitative information in the form of text. In this chapter, we analyze how sentiment in the prospectus influences future stock returns. In addition, we investigate the impact of pre-IPO sentiment in financial announcements on first-day returns. The results of our empirical analyses using 572 IPOs from US companies suggest a negative link between words linked to uncertainty and

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McMillan, David G. "Introduction." In Predicting Stock Returns. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-69008-7_1.

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McMillan, David G. "Where Does Returns and Cash-Flow Predictability Occur? Evidence from Stock Prices, Earnings, Dividends and Cointegration." In Predicting Stock Returns. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-69008-7_2.

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Conference papers on the topic "Return of stocks"

1

Lynch, John, and Brad Cannon. "Does Cross-Sectional Return Extrapolation Explain Anomalies?" In 5th World Conference on Business, Management, Finance, Economics, and Marketing. Eurasia Conferences, 2024. http://dx.doi.org/10.62422/978-81-968539-6-9-010.

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We provide evidence that dividend-paying stocks are less exposed to return extrapolation than non-dividend-paying stocks (capital-gain stocks). In particular, social media sentiment and analyst price targets of capital-gain stocks are each significantly more sensitive to past returns. Consistent with models of return extrapolation, capital-gain stocks earn higher momentum and long-term reversal returns. The significant difference in returns is not explained by factors nor stock characteristics related to dividend status. The value premium, however, is similar among both groups. Collectively, o

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"RISK RETURN ANALYSIS OF NSE LISTED STOCKS." In International Conference on Research in Business management & Information Technology. ELK ASIA PACIFIC JOURNAL, 2015. http://dx.doi.org/10.16962/elkapj/si.bm.icrbit-2015.10.

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Rašiová, Barbara. "Low Risk Anomaly and Coskewness: Evidence from Europe." In EDAMBA 2022: 25th International Scientific Conference for Doctoral Students and Post-Doctoral Scholars. University of Economics in Bratislava, 2023. http://dx.doi.org/10.53465/edamba.2022.9788022550420.324-333.

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Empirical findings that less risky stocks consistently outperform the riskier ones have motivated a great number of studies on the low risk anomaly. This paper aims to explain it away by controlling for coskewness of stock returns with the market return on the European stock market represented by constituents of the S&P 350 Index. Stocks are double sorted on coskewness and beta volatility into 2x5 quintile portfolios, and their excess returns are subsequently regressed on the Fama-French three and five factor models separately for both coskewness categories. In the low coskewness category,

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Nagapetyan, R. Artur. "Stocks return volatility clustering in Russian market: preconditioms and interpretations." In International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017. Atlantis Press, 2017. http://dx.doi.org/10.2991/ttiess-17.2017.75.

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"DEVELOPING MULTIVARIATE MODELS TO PREDICT ABNORMAL STOCK RETURNS - Using Cross-sectional Differences to Identify Stocks with Above Average Return Expectations." In International Conference on Neural Computation. SciTePress - Science and and Technology Publications, 2010. http://dx.doi.org/10.5220/0003075704110419.

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Rosa, Gabriel S., Pedro H. Pereira, Alisson M. Silva, and Charlene C. Resende. "Buying and Selling Decision in the Brazilian Stock Exchange Financial Market by a Neo Fuzzy Neuron (NFN) Applied to the Hurwicz Criterion." In Brazilian Workshop on Artificial Intelligence in Finance. Sociedade Brasileira de Computação, 2023. http://dx.doi.org/10.5753/bwaif.2023.230686.

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This work introduces an approach for making decisions on buying and selling stocks in the Brazilian Stock Exchange to maximize profits in each operation. The proposed approach was built using the Neo-Fuzzy-Neuron (NFN) network to predict the future value of stocks and the Hurwicz criterion for decision analysis under risk and uncertainty, considering different degrees of optimism and pessimism. The approach was applied to Petrobras stocks (PETR4), and the results obtained were compared with the ”buy and hold”strategy. The computational results and comparisons suggest that the proposed approach

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Joshi, Aditya, and S. Rohitraj. "Risk -Return Computation of Metal Sector Stocks Against the Sectoral Benchmark." In Proceedings: AIMS-22. AIMS International, 2025. https://doi.org/10.26573/2025.22.1.43.

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Anhar, Muhammad, and Faris Faruqi. "Unusual Phenomena of the Risk-Return Relationship in Indonesia Sharia Stocks Market." In 6th Annual International Conference on Management Research (AICMaR 2019). Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200331.012.

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Anhar, Muhammad, and Faris Faruqi. "Unusual Phenomena of the Profit-Return Relationship in Indonesia Sharia Stocks Market." In 6th Annual International Conference on Management Research (AICMaR 2019). Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200331.013.

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Salsabila, Ghina, Endang Chumaidiyah, and Rita Zulbetti. "Analysis of Stocks Return, Internal Factors, and Macroeconomics for Investor’s Decision Making." In Proceedings of the 1st International Conference on Economics Engineering and Social Science, InCEESS 2020, 17-18 July, Bekasi, Indonesia. EAI, 2021. http://dx.doi.org/10.4108/eai.17-7-2020.2303001.

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Reports on the topic "Return of stocks"

1

Llorente, Guillermo, Roni Michaely, Gideon Saar, and Jiang Wang. Dynamic Volume-Return Relation of Individual Stocks. National Bureau of Economic Research, 2001. http://dx.doi.org/10.3386/w8312.

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Bastani, Spencer, Kristina Karlsson, Jonas Kolsrud, and Daniel Waldenström. The Capital Advantage: Comparing Returns to Ability in the Labor and Capital Markets. Institutionen för nationalekonomi och statistik, Linnéuniversitetet, 2024. http://dx.doi.org/10.15626/ns.wp.2024.01.

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Using administrative tax and military records, we show that cognitive ability is more strongly associated with capital income than with labor income. This result holds across intensive and extensive margins, across different income types, and after controlling for education, occupation, inheritance, and parental background. Higher ability individuals save more, are better at selecting high-return stocks, hold more risky assets, and are less likely to live hand-to-mouth. Capital market returns are higher for cognitive ability than for non-cognitive skills, and the difference is stable over time

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Guo, Hui, and Robert Savickas. Understanding Stock Return Predictability. Federal Reserve Bank of St. Louis, 2006. http://dx.doi.org/10.20955/wp.2006.019.

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Bekaert, Geert, Robert Hodrick, and Xiaoyan Zhang. International Stock Return Comovements. National Bureau of Economic Research, 2005. http://dx.doi.org/10.3386/w11906.

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Goetzmann, William, Akiko Watanabe, and Masahiro Watanabe. Procyclical Stocks Earn Higher Returns. National Bureau of Economic Research, 2024. http://dx.doi.org/10.3386/w32509.

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Campbell, John, and Motohiro Yogo. Efficient Tests of Stock Return Predictability. National Bureau of Economic Research, 2003. http://dx.doi.org/10.3386/w10026.

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Andersen, Torben, Tim Bollerslev, Francis Diebold, and Heiko Ebens. The Distribution of Stock Return Volatility. National Bureau of Economic Research, 2000. http://dx.doi.org/10.3386/w7933.

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Ang, Andrew, and Geert Bekaert. Stock Return Predictability: Is it There? National Bureau of Economic Research, 2001. http://dx.doi.org/10.3386/w8207.

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Hameed, Allaudeen, Randall Morck, Jianfeng Shen, and Bernard Yeung. Information, analysts, and stock return comovement. National Bureau of Economic Research, 2010. http://dx.doi.org/10.3386/w15833.

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Schwert, G. William, and Paul Seguin. Heteroskedasticity in Stock Returns. National Bureau of Economic Research, 1989. http://dx.doi.org/10.3386/w2956.

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